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Stocks A and B are quite similar: Each has an expected return of 1 2 % , a beta of 1 . 2 , and

Stocks A and B are quite similar: Each has an expected return of 12%, a beta of 1.2, and a standard deviation of 25%.
The returns on the two stocks have a correlation of 0.6. Portfolio P has 50% in Stock A and 50% in Stock B. Which of the
following statements is CORRECT

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